The use of the variogram in construction of stationary time series models

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Citation

Ma, C. (2004). "The Use of the Variogram in Construction of Stationary Time Series Models." Journal of Applied Probability 41(4): 1093-1103.

Abstract

This paper studies a class of stationary covariance models, in both the discrete- and the continuous-time domains, which possess a simple functional form γ(τ + τ0) + γ(τ - τ0) - 2γ(τ), where τ0 is a fixed lag and γ(τ) is an intrinsically stationary variogram, and include the fractional Gaussian noise of Kolmogorov (1940) and a stochastic volatility model of Barndorff-Nielsen and Shephard (2001), (2002) as special cases. Properties of the class, and interesting special cases with long memory, are studied. We also characterize the covariance function via the variogram.